An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
dc.contributor.author | Perron, Pierre | |
dc.contributor.author | Ng, Serena | |
dc.date.accessioned | 2008-01-24T14:28:28Z | |
dc.date.available | 2008-01-24T14:28:28Z | |
dc.date.issued | 1996 | |
dc.identifier.uri | http://hdl.handle.net/1866/2112 | |
dc.format.extent | 1817800 bytes | |
dc.format.mimetype | application/pdf | |
dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
dc.subject | [JEL:C10] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - General | en |
dc.subject | [JEL:C13] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - Estimation | en |
dc.subject | [JEL:C19] Mathematical and Quantitative Methods - Econometric and Statistical Methods: General - Other | en |
dc.subject | [JEL:C10] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Généralités | fr |
dc.subject | [JEL:C13] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Estimations | fr |
dc.subject | [JEL:C19] Mathématiques et méthodes quantitatives - Économétrie et méthodes statistiques; généralités - Divers | fr |
dc.title | An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests | |
dc.type | Article | |
dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
dcterms.abstract | Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that with substantially correlated errors, the OLS estimate of the AR(1) parameter is severely biased. in this paper, we first show that this least squares bias induces a significant increase in the bias and mean-squared error of kernel-based estimators. | |
dcterms.isPartOf | urn:ISSN:0709-9231 | |
UdeM.VersionRioxx | Version publiée / Version of Record | |
oaire.citationTitle | Cahier de recherche | |
oaire.citationIssue | 9611 |
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